Rendering video sequence editor by scripting
It seems that by specifying:

bpy.data.scenes["Scene"].render.filepath = "/Users/***/Blender/mkv/" 

Blender tries to create the file with the directory name (I actually thought that Blender added automatically the filename with the start and end frames...). I changed it to:

bpy.data.scenes["Scene"].render.filepath = "/Users/***/Blender/mkv/" + str(n_strip) + ".mkv"


inside the loop and it now works perfectly.

Kudos to batFINGER for the hint.